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8Q3 2025 Earnings Supplemental MaterialsOctober 24, 2025 1
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DisclaimersForward-Looking InformationThis presentation contains forward-looking statements and information. Statements that are not historical facts, including statements about our beliefs and expectations, are forward-looking statements. Forward-looking statements include statements preceded by, followed by or that include the words “may,” “could,” “would,” “should,” “believe,” “expect,” “anticipate,” “plan,” “estimate,” “target,” “project,” “intend” and similar expressions. These statements include, among others, statements regarding our portfolio and targeted assets, expected performance, dividends, anticipated returns on our investments, interest rates, the mortgage backed securities markets, financing and hedging opportunities, funding costs, book value, interest rate sensitivity, prepayments, the economy, inflation, capital raising and actual or anticipated actions of the Federal Reserve (the “Fed”), and the impact of those actual or anticipated actions on the Company.The forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account all information currently available to us. You should not place undue reliance on these forward-looking statements. These beliefs, assumptions and expectations can change as a result of many possible events or factors, not all of which are known to us. Some of these factors are described under the caption ‘‘Risk Factors’’ in our Annual Report on Form 10-K. If a change occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements. Any forward-looking statement speaks only as of the date on which it is made. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward looking statements, whether as a result of new information, future events or otherwise.2
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Table of ContentsTopic PointFinancial Results 4 - 7Market Developments 8 - 14Portfolio Characteristics & Hedge Positions 15 - 24Appendix 25 - 373 Slide(s)
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4Financial Results
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5 Financial Highlights for the Quarter Ended September 30, 2025Net Income (Loss)1 Book Value1Dividend Declared1Total Return2Q3 25Q2 25Q3 25Q2 25Q3 25Q2 25Q3 25Q2 25$7.33$7.21$0.53 $(0.29)$0.36$ 0.366.7% (4.7)%1. Data is on a per share basis2. Equal to (a) the sum of dividends declared and paid during the quarter and changes in book value during the quarter, divided by (b) book value at the beginning of the quarterSource: Company Press Releases
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6 Portfolio Highlights for the Quarter Ended September 30, 2025Average MBS Balances(in millions)Economic Leverage Ratio1Liquidity2Speeds(3mo. Portfolio CPR)Q3 25Q2 25Q3 25Q2 25Q3 25Q2 25Q3 25Q2 25Source: Company Press Releases 7.3$7,675 $ 6,86657.1% 54.0%10.11. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders' equity2. Liquidity is calculated as the percentage of unrestricted cash, cash equivalents, unpledged RMBS and unpledged U.S. Treasury securities to stockholders’ equity10.17.4
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Orchid Island Capital Financial Results for the Quarter Ended September 30, 2025 7Source: Company Financials Income Statement($ in thousands, except for per share data)Balance Sheet($ in thousands, except for per share data)Three Months Ended September 30,2024202567,646 $108,434 $Interest income(67,306)(81,515)Interest expense340 26,919Net interest (expense) income510-Realized gains (losses) on mortgage-backed securities161,56459,372Unrealized gains (losses) on mortgage-backed securities and U.S. Treasury securities(140,825)(8,772) Gains (losses) on derivative and other hedging instruments21,58977,519Net portfolio income (loss)4,2695,441 Expenses17,320$72,078 $Net Income (loss)4894Other comprehensive income17,36872,172Comprehensive net income (loss)0.24$0.53$Basic and diluted net income (loss) per share72,377,373 136,368,958 Weighted Average Shares Outstanding0.36 $0.36 $Dividends Declared Per Common Share31-Dec-2430-Sep-25ASSETS:5,253,310$8,356,080$Mortgage-backed securities100,551125,440U.S. Treasury securities335,053617,208Cash, cash equivalents and restricted cash23,04439,353Accrued interest receivable9,277548Derivative assets, at fair value392405Other assets5,721,627$9,139,034$Total AssetsLIABILITIES AND STOCKHOLDERS' EQUITY5,025,543$8,006,978$Repurchase agreements9,94017,815Dividends payable3322,949Derivative liabilities, at fair value10,75022,234Accrued interest payable1,1671,498Due to affiliates5,3951,471Other liabilities5,053,1278,052,945Total Liabilities668,5001,086,089Total Stockholders' Equity5,721,627$9,139,034$Total Liabilities and Stockholders' Equity82,622,464148,239,401Common shares outstanding8.09$7.33$Book value per share
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Market Developments8
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1Mo3Mo6Mo1Yr2Yr3Yr5Yr7Yr10Yr30Yr3.0%3.5%4.0%4.5%5.0%06/30/2509/30/2510/17/251Mo3Mo6Mo1Yr2Yr3Yr5Yr7Yr10Yr30Yr3.0%3.5%4.0%4.5%5.0%06/30/2509/30/2510/17/25U.S. Treasury, U.S. Dollar Swap, Yield Spread CurveYield (%)9Source: Bloomberg Data Yield (%)U.S. Treasury Curve SOFR Swap CurveHigh: 2.294% 05/06/22Low: -1.868% 05/03/2310/17/25: 0.089%-2.0%-1.0%0.0%1.0%2.0%3.0%Jun-15Dec-15Jun-16Dec-16Jun-17Dec-17Jun-18Dec-18Jun-19Dec-19Jun-20Dec-20Jun-21Dec-21Jun-22Dec-22Jun-23Dec-23Jun-24Dec-24Jun-25 Yield (%)3-Month Treasury Bill vs 10-Year Treasury Note Yield Spread
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-4-3-2-10123456Roll Close in ticks (1/32)1 Year FNCL Roll30Y 3s UMBS/FNMA30Y 4s UMBS/FNMA30Y 5s UMBS/FNMA30Y 6s UMBS/FNMA98.0100.0102.0104.0FNCL ChangeFNCL 3.0FNCL 4.0FNCL 5.0FNCL 6.0 10-Year U.S. Treasury Note vs MBS Current Coupon 10Source: Bloomberg Data 2010 – Current: 10Yr Treasury Note/Current Coupon Spread03/19/20: 165 bps12/13/22: 190 bps05/26/23: 200 bps10/17/25: 100 bps050100150200Jan-2010 Jan-2011 Jan-2012 Jan-2013 Jan-2014 Jan-2015 Jan-2016 Jan-2017 Jan-2018 Jan-2019 Jan-2020 Jan-2021 Jan-2022 Jan-2023 Jan-2024 Jan-2025
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Swaption Implied Volatility 11Source: Citi Velocity, Bloomberg Data708090100110120Sep-24 Dec-24 Mar-25 Jun-25 Sep-253m x 10Y Normal Vol3M x 10Y USD Normal Annual RFR Vol (BPS/ANNUM)20406080100120140160180200Swaption Implied Volatility (MOVE Index)
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12Source: Bloomberg Data, Company Press Releases Swap Spreads *DV01 for Orchid hedge portfolio as of 09/30/2025Weighted average maturity of 5 years, 5 months-70.00-60.00-50.00-40.00-30.00-20.00-10.000.004/1/2025 5/1/2025 6/1/2025 7/1/2025 8/1/2025 9/1/2025 10/1/2025Swap Spread by Tenor USSFCT02 BGN CurncyUSSFCT05 BGN CurncyUSSFCT07 BGN CurncyUSSFCT10 BGN Curncy2.6%21.3%73.1%3.0%Hedge Weight by DV01SOFR FuturesTreasury FuturesSwapsTBA Shorts
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13 Refinancing ActivityRefi Index vs. Mortgage RatesRefi Index vs. Percent In-The-Money (“ITM”)Primary – Secondary Spreads Source: Wells Fargo Securities bps2.53.03.54.04.55.05.56.06.57.07.58.08.501,0002,0003,0004,0005,0006,0007,000 Mortgage Rate (%) Refi IndexAggregate Refi Index - 1,168Mortgage Rates (0-pt) - 6.57%0102030405060708001,0002,0003,0004,0005,0006,000Mar-20 Sep-20 Mar-21 Sep-21 Mar-22 Sep-22 Mar-23 Sep-23 Mar-24 Sep-24 Mar-25 Sep-25 %ITM Refi IndexPcnt ITM (All 30-yr) - 5.1%Aggregate Refi Index - 1,16850100150200250
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14 U.S. Economy Source: Bloomberg Data0.05.010.015.020.025.030.035.02009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025Tillions ($)U.S. GDP vs Money Supply U.S. Money Supply - M2U.S. GDP - Nominal Dollars
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15Portfolio Characteristics & Hedge Positions
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For levered RMBS investors, the third quarter of 2025 provided supportive market conditions. Interest rate volatility was low, and implied volatility in the swaptions market declined towards multi-year lows over the course of the quarter. The labor marketdata released during the quarter revealed material softening in the labor market and prompted the Federal Reserve to lower the Fed funds rate by 25 basis points with additional cuts likely in the near term. The U.S. Treasury and swap curves currently offer attractive term premiums and Agency RMBS spreads, while tighter over the course of the quarter, are still high by historical standards. Orchid was able to continue to grow its capital base during the third quarter and build a portfolio that offers attractive income and capital appreciation potential. 16 Investment PortfolioTargeted assets:•Orchid Island Capital’s portfolio consists entirely of highly liquid Agency fixed-rate pass-through securities, interest-only securities, and inverse interest-only securities•Agency pass-throughs are generally fixed-rate 30-year and 15-year securities in specified pools or TBA form•Orchid retains ample access to financing sources in excess of needs via the repurchase agreement funding market•Orchid self-clears all security buys and sells and manages all margin activity related to the funding of assets and hedging our interest rate exposureSource: Company Press ReleasesDevelopments During the Quarter:•Continued to increase the weighted average coupon of the fixed-rate MBS portfolio from 5.45% to 5.50% at June 30, 2025 and September 30, 2025, respectively•Realized yield1on portfolio increased from 5.38% to 5.65% at June 30, 2025 and September 30, 2025, respectively•Inclusive of hedge instruments, economic net interest spread2for the third quarter was 2.40% from 2.43% for the second quarter of 2025•Increased allocation to 30yr RMBS 5.5% and 6.0% by 3.75% and 1.02%, respectively1. Defined as GAAP interest income divided by average of the beginning and ending balance of the MBS portfolio2. See appendix for calculations and reconciliation to net interest income
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The weighted average coupon of Orchid’s pass-through portfolio continued to drift higher as portfolio additions were all in the5.0% through 6.5% coupons. However, additions to the portfolio in the third quarter were concentrated in the 5.5% and 6.0% coupon in order to keep the weighted average price close to par as we believe that prepayment rates are poised to accelerate with lower mortgage rates available in the market. Specified pools with modest pay-ups were added to enhance call protection and limit premium amortization. 17 Investment Portfolio Pass-Through Holdings *The above excludes U.S. Treasury Notes and Bills valued at $125.4 million as of 09/30/2025Source: Company Press Releases0500100015002000250030003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 03/31/202530-Year Fixed Rate RMBS15-Year Fixed Rate RMBSTBADeriv0500100015002000250030003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 06/30/202530-Year Fixed Rate RMBS15-Year Fixed Rate RMBSTBADeriv0500100015002000250030003.0% 3.5% 4.0% 4.5% 5.0% 5.5% 6.0% 6.5% 7.0%Portfolio Holdings 09/30/202530-Year Fixed Rate RMBS15-Year Fixed Rate RMBSTBADeriv
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Interest RateAmount ($ in thousands)Term4.37%6,128,953Repo Funding ≤30 days4.22%1,878,025Repo Funding >30 days4.33%8,006,978Total3.31%3,943,300Swaps (Pay Fixed vs. Receive SOFR)3.99%11,950,228Blended Cost of Funds18 Investment Portfolio Funding Costs as of September 30, 2025•The weighted average repo rate at September 30, 2025, was 4.33% compared to 4.48% as of June 30, 2025•Repurchase obligation weighted average maturity as of September 30, 2025, was 39 days compared to 35 days as of June 30, 2025•Orchid’s average economic cost of funds1, inclusive of interest rate swaps, swaptions, and U.S. Treasury future short positions was 3.25% for the quarter ended September 30, 2025, vs 2.95% for the quarter ended June 30, 2025•Orchid’s adjusted leverage ratio was 7.4 to 1 as of September 30, 2025, vs 7.3 to 1 as of June 30, 2025 (adjusted leverage ratio is calculated as repurchase agreement balance divided by shareholders’ equity)Source: Company Press Releases Funding spreads in the repo market continue to be elevated around month/quarter/year end. The Federal Reserve has signaled they will end quantitative tightening in the coming months, and this should prevent reserve levels from becoming too low and potentially disrupting funding markets. Longer maturity swap spreads are far less negative in anticipation of the Fed reinvesting paydowns of their U.S. Treasury and Agency RMBS holdings. Our economic cost of funds increased slightly due to a lower hedge notional balance versus our repo liability.Agency Repurchase Agreements1. See appendix for calculations and reconciliations0.00%1.00%2.00%3.00%4.00%5.00%6.00%Dec-19Mar-20Jun-20Sep-20Dec-20Mar-21Jun-21Sep-21Dec-21Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24Sep-24Dec-24Mar-25Jun-25Sep-25Avg 1M SOFRCost of fundsEconomic Cost of Funds
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Mark to Market Gain (Loss) / Share*Mark to Market Gain (Loss) ($ in thousands)Hedge Period Average EndNotional($ in thousands)$(0.02)$(2,298)Feb-31$(3,943,300)Interest Rate Swaps$(0.02)$(3,159)May-30$(1,388,500)Short Future Positions$(0.03)$(4,272)n/a$(282,000)Short TBAs$(0.07)$(9,729)$(5,613,800)Totals19 Hedging Positions•Total notional balance of hedge positions of $(5,613.8) million•Interest rate swaps with a notional balance of $(3,943.3) million at September 30, 2025•Covered 49% of our repo funding liability•Weighted average pay fix rate of 3.31%•SOFR, U.S. Treasury, and ERIS swap future short position of $(1,388.5) million at September 30, 2025•Short TBA positions of $(282.0) million at September 30,2025•As of September 30, 2025, there are no swaption positions in Orchid Island’s portfolioHedge Positions – Summary MetricsOrchid has hedge positions equal to approximately 70% of our repo funding liability with continued emphasis on interest rate swaps and a longer duration bias. The continued migration of the pass-through portfolio into higher coupon, lower duration assets hedged with predominantly longer duration hedges has led to a lower notional balance of our hedges in relation to our repo liability. To the extent mortgage rates continue to decline and we need to add prepayment protection, we expect to add longer duration hedges, and this trend would likely reverse. *Weighted average shares for the period ended 09/30/2025 was 136,368,958Three Months Ended September 30, 2025Source: Company Press Releases
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20 Hedging PositionsTBA Positions Net Carrying ValueMarket ValueCost BasisNotional Amount (Short)($ in thousands)As of September 30, 2025(427)(284,445)(284,018)(282,000)FNCL 5.5 10/25(427)$(284,445)$(284,018)$(282,000)As of June 30, 2025$ Swap AgreementsWeighted Avg Maturity (Years)Net Estimated Fair ValueAverage Receive RateAverage Fixed Pay RateNotional Amount($ in thousands)As of September 30, 20253.740,950 4.24%2.90%1,922,500 $Expiration > 1 to ≤ 5 years7.0(22,762)4.27%3.69%2,020,800 Expiration > 5 years5.418,188 $4.25%3.31%3,943,300 $As of June 30, 20253.945,295 4.45%2.87%1,822,500 $Expiration > 1 to ≤ 5 years7.2(16,724)4.48%3.69%2,020,800 Expiration > 5 years5.728,570 $4.46%3.30%3,843,300 $Interest Rate FuturesOpen Equity(1)Weighted Average Effective RateWeighted Average Entry RateContract Notional Amount($ in thousands)(Short Position)As of September 30, 2025(500)3.41%3.48%(390,000)3-Month SOFR Future(3)54 3.67%3.67%(562,500)Dec 2025 5-year T-Note(2)(997)3.91%3.97%(228,500)Dec 2025 10-year T-Note(2)(1,855)4.13%4.23%(197,500)Dec 2025 10-year Ultra(2)78 3.36%3.20%(10,000)ERIS Swap Futures(3,222)(1,388,500)$(Short Position)As of June 30, 2025(480)3.47%3.68%(115,000)3-Month SOFR Future(3)(6,198)3.72%4.03%(487,500)Sep 2025 5-year T-Note(2)(3,842)3.96%4.23%(228,500)Sep 2025 10-year T-Note(2)(4,649)4.20%4.48%(197,500)Sep 2025 10-year Ultra(2)(129)3.40%3.71%(10,000)ERIS Swap Futures(15,297)(1,038,500)$Source: Company Press Releases1. Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.2. 5-year T-Note futures contracts, 10-year T-Note futures contracts, and 10-year Ultra futures contracts were valued at prices of $109.20, $112.50, and $115.08 as of September 30, 2025.3. 3-Month SOFR futures expire every 3 months starting December 2025 and ending June 2027.4. ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position.
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Interest Rate SensitivitiesORC Portfolio Allocation5Bear Flattener4Bull Steepener4+50 bps3-50 bps3Effective Convexity2Effective Duration2OAS 2Current Price 1 ($)Coupon9%-3.563.61-3.493.41-0.406.8669.2787.853.0 2%-3.413.40-3.263.09-0.746.3256.2891.393.5 2%-3.123.02-2.852.62-0.985.4563.3994.244.0 3%-2.862.66-2.532.23-1.234.7764.5697.024.5 5%-2.472.04-2.101.67-1.703.7670.1699.155.0 22%-2.031.49-1.631.16-1.962.7878.11100.825.5 35%-1.531.00-1.140.73-1.651.8386.15102.146.0 19%-1.060.59-0.700.37-1.381.0287.58103.326.5 3%-0.920.64-0.570.38-0.840.8994.62104.587.0 100%-1.871.44-1.521.16-1.492.6680.89Total Weighted Average21 Current Agency Conventional 30-year Fixed Rate Risk MetricsBelow are the return projections under various scenarios of conventional 30-year fixed rate Agency RMBS, option adjusted spreads, effective duration and convexity figures, as well as Orchid’s portfolio allocation to each. All figures are as of September 30, 2025. 1. TBA prices at 09/30/252. Per YieldBook3. Parallel 50bp interest rate shifts4. Represents YieldBook’s default scenario Bull Steepener (+50) and Bear Flattener (-50)5. Table excludes TBA long positions and interest only securitiesSource: Yieldbook
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Model Interest Rate SensitivityOrchid’s Agency RMBS portfolio consists predominantly of 30-year, fixed-rate pass-through securities with a bias towards securities with favorable convexity characteristics and expected returns in various interest rate scenarios. Combined with our hedge positions, the portfolio has a very modest sensitivity to interest rates. 22 Investment Portfolio Interest Rate Sensitivity+50 bps($)-50 bps($)Dollar Duration (per .01% change in yield)Market Value /NotionalAgency RMBS Assets(3,460)2,82863$252,71515-year MBS(139,650)111,3262,502$8,341,89930-year MBS103(182)(3)$14,180IO/IIO Securities(143,007)113,9722,562$8,608,794Total RMBS Assets130,072(132,856)(2,629)$5,613,800Hedge Position(12,935)(18,884)(67)Net Duration Gap(1.19%)(1.74%)Duration Gap / Total Equity1Source: Company Press Releases ($ in thousands)1. Total equity of $1,086.1 million at 09/30/25
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Orchid’s higher coupon holdings continued to increase during the third quarter. We deployed the proceeds of our capital raising in higher coupon securities with call protection at modest premiums to TBA securities. As interest rates decreased anticipated prepayment rates increased, yet our realized prepayment rates remained modest. 23 Investment Portfolio Prepayment ExperienceQ3 20252Q2 20252September 2025August 2025July 2025WALA1Securities (by coupon)30-year MBS7.2%6.6%7.2%6.7%7.8%553.0 8.3%7.7%4.9%10.6%9.4%673.5 8.1%6.2%9.5%5.6%9.3%534.0 11.0%8.0%8.6%11.2%13.3%394.5 7.5%8.8%6.2%8.6%7.6%325.0 6.2%5.3%6.3%3.9%8.5%115.5 9.5%8.1%9.7%9.7%9.2%126.0 13.2%14.4%13.9%10.7%14.9%156.5 23.5%31.8%28.2%26.8%15.6%237.0IO/IIO9.8%1.9%1.5%1.0%26.8%1283.0 7.5%5.1%0.6%12.4%9.5%963.7457.5%6.4%10.1%5.0%7.4%1354.0 7.1%7.6%9.1%3.4%8.9%1834.5 11.9%3.4%19.0%1.2%15.5%1835.0 9.6%9.7%9.7%8.8%10.3%Total Prepayment Speeds (CPR) Source: Bloomberg Data1. Weighted average loan age in months as of 09/30/20252. Calculated as the average of 1-month CPR during the quarter
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24 Orchid Island Capital – Q3 Wrap-up and OutlookLooking back:•The Trump administration succeeded in passing the One Big Beautiful Bill Act on July 4th, which to date has been very stimulative, pro growth legislation. Additional steps to reduce regulations and stimulate the economy followed.•Labor market data deteriorated materially, and the Federal Reserve now sees the balance of risks to their outlook as skewed towards economic weakness. The Fed lowered the Fed funds rate by 25 basis points in September and appears likely to do so again.Looking forward:•There appear to be opposing forces at work driving the economy, the growth outlook and likely monetary policy by the Fed.•Tariffs – both current and the constant array of new ones introduced over time – drive uncertainty as inflation remains elevated.•The economy has remained resilient, the administration has a very pro-growth agenda and AI could be transformative.•Orchid’s pass-through portfolio contains quality, high coupon securities that offer significant call protection and the ability to provide attractive hedge adjusted net interest income in the event the economy remains weak, and interest rates are low.•We expect the portfolio to provide attractive hedge adjusted net interest income in the events the economy recovers and interest rates rise, yielding slower prepayment rates. Our longer duration hedge positions are expected to provide protection againstincreasing longer maturity rates and extension risk in our pass-through holdings. The third quarter of 2025 may prove to be a pivotal period. The labor market showed clear signs of weakness and the Federal Reserve pivoted away from their inflation mandate and towards addressing the risk to their full employment mandate. The impact of trade tariffs has yet to be fully felt, and inflation remains elevated. However, growth in the U.S. economy remainsstable, the current U.S. presidential administration has a very pro-growth agenda and recently passed a very stimulative legislation known as the One Big Beautiful Bill Act, and artificial intelligence could drive significant increases in productivity, growth and living standards. The path for economic growth, monetary policy and interest rates is uncertain, yet we believe Orchid’s portfolio is positioned to deliver attractive return potential in either scenario.
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Appendix25
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26Source: Bloomberg Data ACM 10 Year Treasury Term Premia10/16/25: 0.55%-2.00%-1.00%0.00%1.00%2.00%3.00%4.00%2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025
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27Source: Bloomberg Data Current Coupon Mortgage Spreads 80120160200Sep-2022 Sep-2023 Sep-2024 Sep-20257 Yr Swap Spread10 Yr U.S. Treasury Spread
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28Source: Federal Reserve Commercial Bank & Federal Reserve MBS Holdings Note: Data include the following types of institutions in the fifty states and the District of Columbia: domestically chartered commercial banks; U.S. branches and agencies of foreign banks; and Edge Act and agreement corporations. Data exclude International Banking Facilities. Weekly levels are Wednesday values; monthly levels are pro rata averages of Wednesday values. The data for domestically chartered commercial banks and U.S. branches and agencies of foreign banks are estimated by benchmarking weekly data provided by a sample of banks to quarter-end reports of condition (Call Reports). Large domestically chartered commercial banks are defined as the top 25 domestically chartered commercial banks, ranked by domestic assets as of the previous commercial bank Call Report to which the H.8 release data have been benchmarked. Small domestically chartered commercial banks are defined as all domestically chartered commercial banks not included in the top 25. The data for large and small domestically chartered banks are adjusted to remove the estimated effects of mergers and panel shifts between these two bank groups. (Seewww.federalreserve.gov/releases/h8/about.htmfor more information on how these data were constructed.) High: $2,987 02/01/2210/01/25: $2,703.6High: $2,718 08/01/2210/01/25: $2,086.0$1,200$1,400$1,600$1,800$2,000$2,200$2,400$2,600$2,800$3,000$3,200Jan-20 Apr-20 Jul-20 Oct-20 Jan-21 Apr-21 Jul-21 Oct-21 Jan-22 Apr-22 Jul-22 Oct-22 Jan-23 Apr-23 Jul-23 Oct-23 Jan-24 Apr-24 Jul-24 Oct-24 Jan-25 Apr-25 Jul-25 Oct-25$ billionsCommercial Banks & Federal Reserve Holdings of MBS Bank HoldingsFed Holdings
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29 Cross Asset Fixed Income Performance by U.S. Aggregate Bond Index Component Source: Bloomberg Data 1.64%2.43%1.51%1.75%2.23%2.03%2.60%3.00%3.58%2.10%2.53%3.08%8.11%-5%-3%-1%1%3%5%7%9%Q3 2025 Returns4.62%6.76%5.36%6.32%6.71%6.13%6.88%2.64%8.39%6.87%7.22%8.66%14.81%0%4%8%12%16%YTD 2025 Returns as of 09/30/25
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Orchid Island Capital Leverage Ratio History 30Source: Company Press Releases1. The adjusted leverage ratio is calculated by dividing ending repurchase agreement liabilities by ending stockholders’ equity2. The economic leverage ratio is calculated by dividing ending total liabilities adjusted for net notional TBA positions by ending stockholders’ equity7.47.45.06.07.08.09.010.011.0Sep-15Mar-16Sep-16Mar-17Sep-17Mar-18Sep-18Mar-19Sep-19Mar-20Sep-20Mar-21Sep-21Mar-22Sep-22Mar-23Sep-23Mar-24Sep-24Mar-25Sep-25 Leverage RatioAdjusted Leverage (1)Economic Leverage (2)
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Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPNCurrent PricePercent of PortfolioFMVFaceTypeFixed Rate MBS(3,459,666)2,827,879 17355.84%5.00%101.092.94%252,714,850250,000,00015yr TBA 5.0(3,459,666)2,827,879 17355.84%5.00%101.092.94%252,714,850250,000,00015yr Total(21,982,295)21,717,347 7.3%7.2%297553.48%3.00%89.748.70%748,804,448834,429,92230yr 3.0(4,125,214)4,076,793 8.4%4.9%279674.04%3.50%92.981.76%151,190,325162,599,87130yr 3.5(3,920,193)3,745,392 8.4%9.5%302534.70%4.00%95.331.73%148,920,317156,219,04630yr 4.0(6,127,026)5,499,234 11.1%8.6%317395.44%4.50%97.693.16%272,291,522278,734,57930yr 4.5(9,859,306)8,556,541 8.2%6.2%323325.93%5.00%99.835.19%446,473,154447,224,24230yr 5.0(35,803,043)28,021,059 6.1%6.3%345116.45%5.50%101.8721.72%1,870,044,4751,835,700,78930yr 5.5(40,189,632)28,121,923 10.0%9.7%344126.94%6.00%103.1333.60%2,892,624,1802,804,916,66130yr 6.0(15,382,435)9,805,945 13.5%13.9%340157.39%6.50%104.3718.04%1,553,110,4641,488,120,10430yr 6.5(2,260,949)1,781,959 24.3%28.2%328237.94%7.00%105.163.00%258,440,318245,768,57230yr 7.0(139,650,093)111,326,194 10.08%9.68%334216.39%5.51%101.0796.90%8,341,899,2028,253,713,78630yr Total(143,109,759)114,154,07310.08%9.68%329206.37%5.50%101.0799.84%8,594,614,0528,503,713,786Total Pass-Through MBSStructured MBS(2,141)1,916 12.5%11.6%701644.57%4.00%8.230.01%472,5495,743,143IO 20yr 4.0(1,042)(594)10.6%1.5%2221283.64%3.00%13.280.00%317,5802,391,187IO 30yr 3.0180,967 (286,250)7.7%9.9%2181334.60%4.00%18.700.14%12,318,32965,885,491IO 30yr 4.02,670 (6,589)7.2%9.1%1641834.99%4.50%19.310.01%552,7442,862,107IO 30yr 4.53,319 (5,932)12.2%19.0%1641835.37%5.00%20.870.00%313,6961,503,387IO 30yr 5.0183,772 (297,449)8.2%10.0%2041384.59%4.01%17.830.16%13,974,89878,385,315IO Total(81,164)115,322 7.7%0.6%252964.40%0.00%1.120.00%205,56118,392,351IIO 30yr 4.0102,609 (182,127)8.1%8.2%2131304.56%3.25%14.650.16%14,180,45996,777,666Total Structured MBSMortgage Assets(143,007,150)$113,971,946 $10.06%9.66%328226.35%5.47%100%8,608,794,511$8,600,491,452$Total Mortgage AssetsInt Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge3,412,500 (3,412,500)Sep-2026(390,000,000)3-Month SOFR Futures11,521,090 (11,784,932)Feb-2030(562,500,000)5-Year Treasury Futures7,350,760 (7,529,176)Aug-2032(228,500,000)10-Year Treasury Futures8,506,792 (8,938,296)May-2035(197,500,000)10-Year Ultra Treasury Futures226,371 (233,508)Dec-2030(10,000,000)ERIS Swap Futures94,426,072 (97,662,621)Feb-2031(3,943,300,000)Swaps4,628,083 (3,295,215)n/a(282,000,000)TBA Short130,071,669 (132,856,250)(5,613,800,000)$Hedge Total(12,935,482)$(18,884,304)$Rate Shock Grand Total Orchid Island Capital MBS Portfolio Characteristics as of September 30, 2025 31Source: Company Press ReleasesNote: Above table excludes U.S. Treasury Notes and Bills valued at $125.4 million. The U.S. Treasury Notes and Bills were purchased to post as collateral for hedge positions. (1) Modeled results from Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.(2) See slide 20 for additional hedge detail
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Int Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) 3m CPR1m CPRWA MatAGEGWACCPNCurrent PricePercent of PortfolioFMVFaceTypeFixed Rate MBS(22,219,049)21,887,802 6.7%6.3%300523.48%3.00%88.3510.80%755,429,547855,064,94730yr 3.0(4,199,462)4,138,674 7.8%8.2%282644.04%3.50%91.602.20%153,788,300167,884,39130yr 3.5(3,963,517)3,787,831 6.3%6.6%305504.70%4.00%93.922.15%150,339,437160,080,28730yr 4.0(6,309,876)5,743,727 8.1%8.4%319365.44%4.50%96.353.97%277,819,480288,330,44830yr 4.5(9,327,112)8,328,161 9.0%9.8%323315.92%5.00%98.615.96%417,113,058422,972,45830yr 5.0(26,073,316)21,984,516 6.1%4.7%343126.42%5.50%101.0217.97%1,256,497,7921,243,785,65030yr 5.5(34,297,578)26,209,389 8.0%7.1%344116.94%6.00%102.5232.58%2,278,328,9552,222,320,70330yr 6.0(15,376,628)10,787,761 14.9%14.0%342147.40%6.50%104.0620.16%1,409,903,1591,354,906,05530yr 6.5(2,357,520)1,778,490 32.8%28.3%332207.95%7.00%105.633.99%279,341,547264,462,52230yr 7.0(124,124,058)104,646,350 10.15%8.93%333226.30%5.45%99.9899.79%6,978,561,2766,979,807,46030yr Total(124,124,058)104,646,35010.15%8.93%333226.30%5.45%99.9899.79%6,978,561,2766,979,807,460Total Pass-Through MBSStructured MBS(2,381)2,214 12.4%13.8%731614.57%4.00%8.480.01%523,6466,177,886IO 20yr 4.0(752)(793)1.9%0.7%2251253.64%3.00%13.720.00%340,3682,481,045IO 30yr 3.0178,359 (261,233)6.3%8.0%2211304.60%4.00%18.840.18%12,806,48167,971,708IO 30yr 4.02,060 (5,015)7.6%9.3%1671804.99%4.50%18.780.01%552,3472,941,147IO 30yr 4.52,591 (4,769)3.4%7.4%1671805.37%5.00%21.040.00%327,1161,555,004IO 30yr 5.0179,876 (269,597)6.6%8.3%2061354.59%4.01%17.930.21%14,549,95881,126,790IO Total(79,360)106,163 5.2%0.5%255934.40%0.00%1.250.00%248,24819,859,865IIO 30yr 4.0100,516 (163,433)6.3%6.8%2161274.56%3.22%14.650.21%14,798,207100,986,656Total Structured MBSMortgage Assets(124,023,542)$104,482,917 $10.08%8.90%331236.28%5.42%100%6,993,359,483$7,080,794,116$Total Mortgage AssetsInt Rate Sensitivity (+50 BPS) Int Rate Sensitivity (-50 BPS) Hedge Period Average End Notional Balance Hedge1,150,000 (1,150,000)Aug-2026(115,000,000)3-Month SOFR Futures9,979,594 (10,209,892)Sep-2025(487,500,000)5-Year Treasury Futures7,288,204 (7,504,685)Sep-2025(228,500,000)10-Year Treasury Futures8,375,681 (8,719,459)Sep-2025(197,500,000)10-Year Ultra Treasury Futures223,955 (230,949)Sep-2025(10,000,000)ERIS Swap Futures95,483,832 (98,873,797)Feb-2031(3,843,300,000)Swaps122,501,266 (126,688,783)(4,881,800,000)$Hedge Total(1,522,276)$(22,205,867)$Rate Shock Grand Total Orchid Island Capital MBS Portfolio Characteristics as of June 30, 2025 32Source: Company Press ReleasesNote: Above table excludes U.S. Treasury Notes and Bills valued at $125.2 million. The U.S. Treasury Notes and Bills were purchased to post as collateral for hedge positions. (1) Modeled results from Yield Book. Interest rate shocks assume instantaneous parallel shifts and horizon prices are calculated assuming constant SOFR option-adjusted spreads. These results are for illustrative purposes only and actual results may differ materially.(2) See slide 20 for additional hedge detail
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Orchid Credit Counterparties 33Source: Company Press Releases ($ in thousands)As of September 30, 2025Longest MaturityWeighted Average Maturity in Days% of TotalTotal Outstanding Balances Counterparty10/23/2025206.39%511,662J.P. Morgan Securities LLC12/1/2025345.47%437,979Citigroup Global Markets Inc11/25/2025364.87%389,984DV Securities, LLC Repo12/15/2025424.72%377,931ABN AMRO Bank N.V.10/28/2025144.64%371,202Wells Fargo Securities, LLC10/23/2025204.62%369,533The Bank of Nova Scotia2/13/2026704.52%362,023Merrill Lynch, Pierce, Fenner & Smith9/21/20261264.49%359,654ASL Capital Markets Inc.11/28/2025304.48%358,926Bank of Montreal8/27/2026814.30%344,604South Street Securities, LLC10/29/2025274.21%337,376Goldman, Sachs & Co10/20/2025204.15%332,143StoneX Financial Inc.11/13/2025354.14%331,786Mirae Asset Securities (USA) Inc.3/23/20261354.12%329,915Daiwa Securities America Inc.10/27/2025253.99%319,230Cantor Fitzgerald & Co10/31/2025203.84%307,707Clear Street LLC12/11/2025313.78%302,480Marex Capital Markets Inc.11/25/2025563.72%298,220RBC Capital Markets, LLC10/17/2025173.63%291,011ING Financial Markets LLC10/16/2025163.32%265,981Banco Santander SA10/8/202583.20%255,958MUFG Securities Canada, Ltd.10/20/2025163.07%246,210Mitsubishi UFJ Securities (USA), Inc.10/27/2025232.59%207,561Mizuho Securities USA LLC10/14/2025141.97%158,100Nomura Securities International, Inc.10/29/2025291.31%104,895Natixis, New York Branch10/16/2025160.44%34,907Lucid Prime Fund, LLC9/21/202639100.0%8,006,978$Total / Weighted Average
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Gains (Losses) on Derivative Instruments 34Source: Company Financials1. Reflects the effect of derivative instrument hedges for only the period presented.2. Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP interest expense.3. Calculated by adding the effect of derivative instrument hedges attributed to the period presented to GAAP net interest income. The tables to the left present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the income statement line item, gains (losses) on derivative instruments, calculated in accordance with GAAP for each quarter of 2025 to date and 2024.
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Economic Net Interest Spread 35Source: Company Financials1. Portfolio yields and costs of borrowings presented in the tables above are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented. Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.2. Economic interest expense and economic net interest income presented in the tables above includes the effect of our derivative instrument hedges for only the periods presented.3. Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.4. Economic net interest spread is calculated by subtracting average economic cost of funds from realized yield on average RMBS. The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings,interest expense, cost of funds, net interest income and net interest spread for each quarter of 2025 to date and 2024 on both aGAAP and economic basis.
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36 Securitized Products Returns September 2025Last 12 months from September 2024 return summary – sorted by total returnsLast 12 months from September 2024 returns summary – sorted by excess return9/30/20252024Last 12 Mo. (As of 9/30/25)Current Spread / PriceExcess Return (vs. Swaps/Libor)Total ReturnExcess Return (vs. Swaps/Libor)Total ReturnSector29970N/A25.9%N/A23.9%NDX 10014827N/A25.0%N/A17.6%S&P 50056015.2%20.6%7.8%12.1%CLO 2.0/3.0 BBNA12.0%16.1%5.5%9.3%SP down in credit indicator2608.2%13.3%4.9%9.1%CLO 2.0/3.0 BBB78914.4%77.6%4.9%8.6%CMBS BBB1804.6%9.6%3.5%7.5%CLO 2.0/3.0 A2805.2%8.2%3.6%7.2%HY Corporate1534.0%8.9%3.0%7.1%CLO 2.0/3.0 Total1553.8%8.7%2.7%7.1%CLO 2.0/3.0 AANA4.0%9.0%2.9%7.0%Leveraged Loans2063.4%8.0%3.1%6.9%Legacy RMBS1857.5%72.7%2.5%6.6%CRT Bl1152.7%7.6%2.3%6.5%CLO 2.0/3.0 AAA1454.4%9.4%2.3%6.4%CRT M2/Old M31053.4%8.4%2.0%6.1%CRT MlNA3.3%7.3%2.2%5.9%SP return indicator162.1%7.0%1.3%5.5%Floating ABSNA3.3%6.2%1.7%5.4%SP AAA indicator1243.6%5.9%1.9%5.2%CMBS892.0%5.9%1.1%4.9%Fixed ABS341.3%3.0%1.0%4.1%Agency CMBS762.6%2.8%2.6%3.9%IG Corporate30-0.1%1.3%0.7%3.3%Agency MBS-10.0%0.5%0.4%1.9%US Treasury 9/30/20252024Last 12 Mo. (As of 9/30/25)Current Spread / PriceExcess Return (vs. Swaps/Libor)Total ReturnExcess Return (vs. Swaps/Libor)Total ReturnSector29970N/A25.9%N/A23.9%NDX 10014827N/A25.0%N/A17.6%S&P 50056015.2%20.6%7.8%12.1%CLO 2.0/3.0 BBNA12.0%16.1%5.5%9.3%SP down in credit indicator78914.4%17.6%4.9%8.6%CMBS BBB2608.2%13.3%4.9%9.1%CLO 2.0/3.0 BBB2805.2%8.2%3.6%7.2%HY Corporate1804.6%9.6%3.5%7.5%CLO 2.0/3.0A2063.4%8.0%3.1%6.9%Legacy RMBS1534.0%8.9%3.0%7.1%CLO 2.0/3.0 TotalNA4.0%9.0%2.9%7.0%Leveraged Loans1553.8%8.7%2.7%7.1%CLO 2.0/3.0 AA762.6%2.8%2.6%3.9%IG Corporate1857.5%12.7%2.5%6.6%CRT Bl1152.7%7.6%2.3%6.5%CLO 2.0/3.0 AAA1454.4%9.4%2.3%6.4%CRT M2/Old M3NA3.3%7.3%2.2%5.9%SP return indicator1053.4%8.4%2.0%6.1%CRT Ml1243.6%5.9%1.9%5.2%CMBSNA3.3%6.2%1.7%5.4%SP AAA indicator162.1%7.0%1.3%5.5%Floating ABS892.0%5.9%1.1%4.9%Fixed ABS341.3%3.0%1.0%4.1%Agency CMBS30-0.1%1.3%0.7%3.3%Agency MBS-10.0%0.5%0.4%1.9%US TreasurySource: BofA Global Research - Securitized Products Returns for September 2025/ Securitized Products Strategy / 01 October 2025
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Securitized Products Returns September 2025 37Source: BofA Global Research - Securitized Products Returns for September 2025/ Securitized Products Strategy / 01 October 2025 Securitized products total and excess returns versus swaps